4 citations · 4 across the 2 of their papers we have counts for
2 papers
math.OC2007
Filtering and estimation in stochastic volatility models with rationally distributed disturbances
Bernard Hanzon, Wolfgang Scherrer
This paper deals with the filtering problem for a class of discrete time stochastic volatility models in which the disturbances have rational probability density functions. This in…
math.OC2007★ 4 cited
Optimal H2 order-one reduction by solving eigenproblems for polynomial equations
Bernard Hanzon, Jan M. Maciejowski, Chun Tung Chou
A method is given for solving an optimal H2 approximation problem for SISO linear time-invariant stable systems. The method, based on constructive algebra, guarantees that the glob…